Linear Model Partitioner

1. A computer-implemented method comprising: selecting, iteratively by a processor coupled with a memory, each of a plurality of different subsets of a plurality data records stored in a portfolio database in the memory, each data record characterized by a data size and storing data indicative of a position in one or more financial instruments, the selected subset being characterized by a magnitude correlated with the data size of the data records thereof, a value of each of one or more attributes, and one or more constraints thereon, each of the data records of the selected subset further including data indicative of an adjustable contribution by the position of the data record to the magnitude of the subset, data indicative of one or more contribution constraints on the adjustable contribution, and data indicative of an attribute contribution which specifies a degree to which the position of the data record contributes to the one or more attributes as a function of the adjustable contribution to the magnitude; providing, by the processor, the selected subset, a specified goal and an approximation threshold to a linear optimizer coupled with the processor and operative to compute a solution comprising a modification to the magnitude of the selected subset which approximates the specified goal in accordance with the approximation threshold by determining one or more modifications to the adjustable contributions of one or more of the data records of the selected subset which are compliant with the contribution constraints thereon such that the value of each of the one or more attributes of the selected subset, as modified by the contribution thereto of each of the data records of the selected subset as a function of the modified adjustable contribution thereof, comply with the one or more constraints on the values of each of the one or more attributes, wherein a modified adjustable contribution of a particular data record of zero allows for removal of the particular data record from the portfolio database, reducing the data size of the portfolio database in accordance with the data size thereof; and accumulating, by the processor in the memory for each selected subset, the received solutions from the linear optimizer until the accumulated solution satisfies a threshold, upon which applying, by the processor, the accumulated solution to the portfolio database to modify the data records stored therein in accordance therewith, wherein the data size of the portfolio database is reduced by removing those data records whose adjustable contribution of a particular data record was reduced to zero.

2. The computer implemented method of claim 1, wherein the accumulated solution comprises one or more modifications to the adjustable contributions of the data records within the contribution constraints thereof of the selected subset which maximizes a reduction in the data size of the portfolio database, such that the value of each of the one or more attributes of the subset, as modified by the contribution thereto of each of the data records of the subset as a function of the modified adjustable contribution thereof, comply with the one or more constraints thereon.

3. The computer implemented method of claim 1, wherein each subsequently selected subset accounts for all computed modifications by the linear optimizer to the adjustable contributions of one or more data records of previously selected subsets and includes a different subset of the plurality of data records than were included in the previously selected subsets.

4. The computer implemented method of claim 3, wherein the selecting comprises: receiving, by the processor, the selected subset which accounts for all computed modifications by the linear optimizer to the adjustable contributions of one or more data records of all of the other previously selected subsets; providing, by the processor when the selected subset is received, the selected subset, along with an approximation threshold sized to guarantee a solution without regard to optimality, to the linear optimizer and receiving a solution therefrom, and storing, by the processor, the received solution in the memory as an estimated solution, and subsequent thereto: updating, by the processor, one or more of the one or more contribution constraints on the adjustability of the adjustable contribution of the data records of the selected subset; determining, by the processor, if the solution as applied to the selected subset meets a partition criteria, and where the partition criteria are not met: updating, by the processor, one or more reduction control parameters which control a speed at which subsets are selected; sorting, by the processor, the data records of the selected subset based on the data indicative of the adjustable contribution of each data record of the selected subset; creating, by the processor, a new subset comprising a lesser number of the data records of the selected subset, in accordance with the reduction control parameters as applied to the sorted data records of the selected subset; computing, by the processor when a previously selected subset is received, a difference between the accumulated solution and the stored estimated solution, and storing, by the processor, in the memory the computed difference as the estimated solution, and subsequent thereto: updating, by the processor, one or more of the one or more contribution constraints on the adjustability of the adjustable contribution of the data records of the received previously selected subset; determining, by the processor, if the solution as applied to the previously selected subset meets a partition criteria, and where the partition criteria are not met: updating, by the processor, one or more of the reduction control parameters; sorting, by the processor, the data records of the previously selected subset based on the data indicative of the adjustable contribution of each data record of the previously selected subset; creating, by the processor, a new subset comprising a lesser number of the data records of the previously selected subset, in accordance with the reduction control parameters as applied to the sorted data records of the previously selected subset; For each new subset created: providing, by the processor, the new subset, along with an approximation threshold sized to obtain an optimal solution, to the linear optimizer and receiving a solution therefrom, and subsequent thereto: updating, by the processor, one or more of the one or more contribution constraints on the adjustability of the adjustable contribution of the data records of the new subset; determining, by the processor, if the solution as applied to the new subset meets a partition criteria, and where the partition criteria are not met: updating, by the processor, one or more of the reduction control parameters; sorting, by the processor, the data records of the new subset based on the data indicative of the adjustable contribution of each data record of the new subset; creating, by the processor, another new subset comprising a lesser number of the data records of the new subset, in accordance with the reduction control parameters as applied to the sorted data records of the new subset; wherein, when the partition criteria are met, one of the selected subset, the previously updated other subset or the current new subset is determined to be a selected subset.

5. The computer implemented method of claim 1, wherein a time it takes the linear optimizer to determine, for each of the selected subsets, modifications to the adjustable contributions, within the contribution constraints thereof, of one or more of the data records of the subset, such that the value of each of the one or more attributes of the subset, as modified by the contribution thereto of each of the data records of the subset as a function of the modified adjustable contribution thereof, comply with the one or more constraints thereon, is less than a time it takes the linear optimizer to determine, for another selected subset, modifications to the adjustable contributions, within the contribution constraints thereof, of one or more of the data records of the subset, such that the value of each of the one or more attributes of the subset, as modified by the contribution thereto of each of the data records of the subset as a function of the modified adjustable contribution thereof, comply with the one or more constraints thereon.

6. The computer implemented method of claim 1, wherein the data transaction processing system comprises a system in which data items are transacted by a hardware matching processor that anonymously matches electronic data transaction request messages for the same one of the data items based on multiple transaction parameters from different client computers of different market participants over a data communication network without identifying those market participants to each other, the positions of the database records stored in the portfolio database having resulted from the anonymous matching of one or more electronic data transaction request messages.

7. The computer implemented method of claim 1, wherein at least a portion of the plurality of different subsets of the plurality of data records comprise portfolios belonging to particular traders, each having characteristics dependent upon the data records therein.

8. The computer implemented method of claim 1, wherein the data transaction processing system comprises a system in which data items are transacted bilaterally between two or more participants, the positions of the database records stored in the portfolio database having resulted therefrom.

9. The computer implemented method of claim 1, wherein one or more of the one or more constraints on the values of each of the one or more attributes may vary, the data indicative of an adjustable contribution to the magnitude by the position indicated by the data of the data record, the one or more contribution constraints on the adjustability of the adjustable contribution, and the attribute contribution which specifies a degree to which the position indicated by the data of the data record contributes to at least one of the one or more attributes as a function of the adjustable contribution to the magnitude, are received from a participant associated with at least one of the data records of the at least one selected subset of data records.

10. The computer implemented method of claim 1, further comprising: monitoring, by the processor, the data size of the portfolio database and comparing the data size to a threshold size; and performing, automatically by the processor, the selecting and providing when the data size of the portfolio database exceeds the threshold size.

11. The computer implemented method of claim 1, further comprising: performing, periodically by the processor, the selecting and providing.

12. The computer implemented method of claim 1, wherein the determined modifications to the adjustable contributions comprise adding a new data record to the selected subset to replace two or more data records therein, the new data record having characteristics equivalent to characteristics of the replaced two more data records but a lesser data size.

13. A system comprising: a hardware processor and a memory coupled therewith; first logic stored in the memory and executable by the processor to cause the processor to select, iteratively, each of a plurality of different subsets of a plurality data records stored in a portfolio database in the memory, each data record characterized by a data size and storing data indicative of a position in one or more financial instruments, the selected subset being characterized by a magnitude correlated with the data size of the data records thereof, a value of each of one or more attributes, and one or more constraints thereon, each of the data records of the selected subset further including data indicative of an adjustable contribution by the position of the data record to the magnitude of the subset, data indicative of one or more contribution constraints on the adjustable contribution, and data indicative of an attribute contribution which specifies a degree to which the position of the data record contributes to the one or more attributes as a function of the adjustable contribution to the magnitude; second logic stored in the memory and executable by the processor to cause the processor to provide the selected subset, a specified goal and an approximation threshold to a linear optimizer coupled with the processor and operative to compute a solution comprising a modification to the magnitude of the selected subset which approximates the specified goal in accordance with the approximation threshold by determining one or more modifications to the adjustable contributions of one or more of the data records of the selected subset which are compliant with the contribution constraints thereon such that the value of each of the one or more attributes of the selected subset, as modified by the contribution thereto of each of the data records of the selected subset as a function of the modified adjustable contribution thereof, comply with the one or more constraints on the values of each of the one or more attributes, wherein a modified adjustable contribution of a particular data record of zero allows for removal of the particular data record from the portfolio database, reducing the data size of the portfolio database in accordance with the data size thereof; and third logic stored in the memory and executable by the processor to cause the processor to accumulate, in the memory for each selected subset, the received solutions from the linear optimizer until the accumulated solution satisfies a threshold, upon which applying, by the processor, the accumulated solution to the portfolio database to modify the data records stored therein in accordance therewith, wherein the data size of the portfolio database is reduced by removing those data records whose adjustable contribution of a particular data record was reduced to zero.

14. The system of claim 13, wherein the accumulated solution comprises one or more modifications to the adjustable contributions of the data records within the contribution constraints thereof of the selected subset which maximizes a reduction in the data size of the portfolio database, such that the value of each of the one or more attributes of the subset, as modified by the contribution thereto of each of the data records of the subset as a function of the modified adjustable contribution thereof, comply with the one or more constraints thereon.

15. The system of claim 13, wherein each subsequently selected subset accounts for all computed modifications by the linear optimizer to the adjustable contributions of one or more data records of previously selected subsets and includes a different subset of the plurality of data records than were included in the previously selected subsets.

16. The system of claim 15, wherein the second logic further comprises: fourth logic stored in the memory and executable by the processor to cause the processor to: receive the selected subset which accounts for all computed modifications by the linear optimizer to the adjustable contributions of one or more data records of all of the other previously selected subsets; provide, when the selected at least one subset is received, the selected at least one subset, along with an approximation threshold sized to guarantee a solution without regard to optimality, to the linear optimizer and receive a solution therefrom, and store the received solution in the memory as an estimated solution, and subsequent thereto: update one or more of the one or more contribution constraints on the adjustability of the adjustable contribution of the data records of the selected subset; determine if the solution as applied to the selected subset meets a partition criteria, and where the partition criteria are not met: update one or more reduction control parameters which control a speed at which subsets are selected; sort the data records of the selected subset based on the data indicative of the adjustable contribution of each data record of the selected subset; create a new subset comprising a lesser number of the data records of the selected subset, in accordance with the reduction control parameters as applied to the sorted data records of the selected subset; compute, when a previously selected subset is received, a difference between the accumulated solution and the stored estimated solution, and store in the memory the computed difference as the estimated solution, and subsequent thereto: update one or more of the one or more contribution constraints on the adjustability of the adjustable contribution of the data records of the received previously selected subset; determine if the solution as applied to the previously selected subset meets a partition criteria, and where the partition criteria are not met: update one or more of the reduction control parameters; sort the data records of the previously selected subset based on the data indicative of the adjustable contribution of each data record of the previously selected subset; create a new subset comprising a lesser number of the data records of the previously selected subset, in accordance with the reduction control parameters as applied to the sorted data records of the previously selected subset; For each new subset created: provide the new subset, along with an approximation threshold sized to obtain an optimal solution, to the linear optimizer and receive a solution therefrom, and subsequent thereto: update one or more of the one or more contribution constraints on the adjustability of the adjustable contribution of the data records of the new subset; determine if the solution as applied to the new subset meets a partition criteria, and where the partition criteria are not met: update one or more of the reduction control parameters; sort the data records of the new subset based on the data indicative of the adjustable contribution of each data record of the new subset; create another new subset comprising a lesser number of the data records of the new subset, in accordance with the reduction control parameters as applied to the sorted data records of the new subset; wherein, when the partition criteria are met, one of the selected subset, the previously updated other subset or the current new subset is determined to be selected subset.

17. The system of claim 13, wherein a time it takes the linear optimizer to determine, for each of the selected subsets, modifications to the adjustable contributions, within the contribution constraints thereof, of one or more of the data records of the subset, such that the value of each of the one or more attributes of the subset, as modified by the contribution thereto of each of the data records of the subset as a function of the modified adjustable contribution thereof, comply with the one or more constraints thereon, is less than a time it takes the linear optimizer to determine, for another selected subset, modifications to the adjustable contributions, within the contribution constraints thereof, of one or more of the data records of the subset, such that the value of each of the one or more attributes of the subset, as modified by the contribution thereto of each of the data records of the subset as a function of the modified adjustable contribution thereof, comply with the one or more constraints thereon.

18. The system of claim 13, wherein the data transaction processing system comprises a system in which data items are transacted by a hardware matching processor that anonymously matches electronic data transaction request messages for the same one of the data items based on multiple transaction parameters from different client computers of different market participants over a data communication network without identifying those market participants to each other, the positions of the database records stored in the portfolio database having resulted from the anonymous matching of one or more electronic data transaction request messages.

19. The system of claim 13, wherein at least a portion of the plurality of subsets of the plurality of data records comprise portfolios belonging to particular traders, each having characteristics dependent upon the data records therein.

20. The system of claim 13, wherein the data transaction processing system comprises a system in which data items are transacted bilaterally between two or more participants, the positions of the database records stored in the portfolio database having resulted therefrom.

21. The system of claim 13, wherein one or more of the one or more constraints on the values of each of the one or more attributes may vary, the data indicative of an adjustable contribution to the magnitude by the position indicated by the data of the data record, the one or more contribution constraints on the adjustability of the adjustable contribution, and the attribute contribution which specifies a degree to which the position indicated by the data of the data record contributes to at least one of the one or more attributes as a function of the adjustable contribution to the magnitude, are received from a participant associated with at least one of the data records of the at least one selected subset of data records.

22. The system of claim 13, further comprising: fifth logic stored in the memory and executable by the processor to cause the processor to monitor the data size of the portfolio database and compare the data size to a threshold size and actuate, automatically, the first, second, and third logic when the data size of the portfolio database exceeds the threshold size.

23. The system of claim 13, further comprising: sixth logic stored in the memory and executable by the processor to cause the processor to actuate, periodically the first, second, third and fourth logic.

24. The system of claim 13, wherein the determined modifications to the adjustable contributions comprise addition of a new data record to the selected subset to replace two or more data records therein, the new data record having characteristics equivalent to characteristics of the replaced two more data records but a lesser data size.

25. A system comprising: means for selecting, iteratively, each of a plurality of different subsets of a plurality data records stored in a portfolio database in a memory, each data record characterized by a data size and storing data indicative of a position in one or more financial instruments, the selected subset being characterized by a magnitude correlated with the data size of the data records thereof, a value of each of one or more attributes, and one or more constraints thereon, each of the data records of the selected subset further including data indicative of an adjustable contribution by the position of the data record to the magnitude of the subset, data indicative of one or more contribution constraints on the adjustable contribution, and data indicative of an attribute contribution which specifies a degree to which the position of the data record contributes to the one or more attributes as a function of the adjustable contribution to the magnitude; means for providing the selected subset, a specified goal and an approximation threshold to a linear optimizer operative to compute a solution comprising a modification to the magnitude of the selected subset which approximates the specified goal in accordance with the approximation threshold by determining one or more modifications to the adjustable contributions of one or more of the data records of the selected subset which are compliant with the contribution constraints thereon such that the value of each of the one or more attributes of the selected subset, as modified by the contribution thereto of each of the data records of the selected subset as a function of the modified adjustable contribution thereof, comply with the one or more constraints on the values of each of the one or more attributes, wherein a modified adjustable contribution of a particular data record of zero allows for removal of the particular data record from the portfolio database, reducing the data size of the portfolio database in accordance with the data size thereof; and means for accumulating, in the memory for each selected subset, the received solutions from the linear optimizer until the accumulated solution satisfies a threshold, upon which applying, by the processor, the accumulated solution to the portfolio database to modify the data records stored therein in accordance therewith, wherein the data size of the portfolio database is reduced by removing those data records whose adjustable contribution of a particular data record was reduced to zero.